If you leave the cap off the expansion tank does the system still build up pressure?
Try running the car without a thermostat installed at all, maybe there is an air lock stopping it from working.
Check that the hose that runs from the radiator to the bleeding screw and expansion tank isn't kinked, apparently that can stop air from being purged.

If you leave the cap off the expansion tank does the system still build up pressure?
Try running the car without a thermostat installed at all, maybe there is an air lock stopping it from working.
Check that the hose that runs from the radiator to the bleeding screw and expansion tank isn't kinked, apparently that can stop air from being purged.

even without thermostat (which, btw, comes with the housing so it's not possible to remove on E46) the car shouldn't build pressure in 10 seconds after starting. should only build pressure after water is boiling inside.

The hose from radiator to bleeding screw is 4 cm thick, not blocked at all.